粳稻期货跨期套利数据回测

本页面展示粳稻期货主连与次主连合约跨期套利历史数据回测分析情况,以下是简要说明:

数据来源

  1. 数据来源于期货交易所官方公布的期货交易数据;
  2. 主连合约指当前主力合约,次主连合约指下一个主力合约,并不是简单的本月合约和次月合约,操作前请严格核对操作标的是否正确;
  3. 为节约服务器资源,数据更新频率为每周六更新;

数据说明

  1. 该页面主要统计了主连与次主连合约历史数据的价格差异;
  2. 所有的差价都是用主连合约数据减去次主连合约所得;
  3. 本页面包含逐日数据对比,汇总的月份数据和年度数据情况;
  4. 通过查看年度、月度以及逐日数据,了解期货跨期价差的历史表现,为投资决策提供参考依据;

学习交流

如果您对期货套利以及其它低风险投资感兴趣,可以关注我们的公众号:财有你我 ,加群交流。

风险提示

注意:历史数据仅供参考,并不能确保100%盈利,投资有风险,决策需谨慎。

数据分析

关于粳稻期货跨期套利的详细数据分析,请查看文章:。

粳稻期货跨期套利年度差价数据

年份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2021 -32.00 -416.00 119.00 -41.24 -306.00 179.00 -26.65 -417.00 168.00 -50.00 -329.00 89.00
2020 -61.22 -300.00 186.00 -58.12 -346.00 154.00 -56.69 -356.00 207.00 -60.01 -346.00 213.00
2019 -74.00 -303.00 258.00 -83.67 -210.00 265.00 -90.50 -303.00 310.00 -53.67 -189.00 237.00
2018 117.00 -4.00 247.00 39.33 -1.00 108.00 45.00 0.00 108.00 101.67 -21.00 221.00

粳稻期货跨期套利月度差价数据

月份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2021-10 -170.00 -170.00 -170.00 -197.00 -197.00 -197.00 -170.00 -170.00 -170.00 -329.00 -329.00 -329.00
2021-05 -416.00 -416.00 -416.00 -306.00 -306.00 -306.00 -417.00 -417.00 -417.00 -305.00 -305.00 -305.00
2021-04 -103.00 -184.00 39.00 -166.33 -253.00 -74.00 -154.67 -184.00 -116.00 -158.67 -253.00 -51.00
2021-03 23.00 -34.00 80.00 -22.50 -44.00 -1.00 -17.00 -34.00 0.00 17.00 -44.00 78.00
2021-02 61.33 16.00 86.00 62.33 -19.00 179.00 92.50 61.00 168.00 35.17 -20.00 89.00
2021-01 -15.75 -194.00 119.00 -7.00 -194.00 106.00 19.25 -194.00 119.00 3.75 -23.00 34.00
2020-10 42.60 -99.00 186.00 60.60 -5.00 154.00 64.30 -99.00 207.00 41.40 -58.00 154.00
2020-09 3.67 -24.00 30.00 9.17 -29.00 70.00 9.00 -29.00 40.00 13.00 -24.00 41.00
2020-08 -206.11 -300.00 -90.00 -213.95 -346.00 -100.00 -200.11 -293.00 -87.00 -225.63 -346.00 -106.00
2020-07 -86.57 -147.00 -14.00 -92.79 -165.00 -28.00 -90.36 -154.00 -42.00 -88.29 -150.00 -14.00
2020-06 -27.14 -99.00 6.00 -20.00 -76.00 18.00 -26.64 -78.00 6.00 -25.71 -112.00 3.00
2020-05 -8.25 -40.00 36.00 -14.75 -41.00 14.00 -5.25 -41.00 48.00 -19.75 -48.00 -1.00
2020-04 -15.00 -61.00 78.00 -23.83 -55.00 -1.00 -24.00 -53.00 28.00 -12.22 -45.00 87.00
2020-03 -117.45 -209.00 -16.00 -96.82 -239.00 2.00 -106.73 -356.00 5.00 -107.09 -221.00 -16.00
2020-02 -67.00 -144.00 90.00 -23.83 -104.00 131.00 -36.33 -140.00 131.00 -2.17 -96.00 213.00
2019-08 258.00 258.00 258.00 265.00 265.00 265.00 310.00 310.00 310.00 237.00 237.00 237.00
2019-03 -140.40 -303.00 5.00 -153.40 -210.00 -83.00 -170.60 -303.00 -70.00 -111.80 -189.00 -6.00
2018-11 117.00 -4.00 247.00 39.33 -1.00 108.00 45.00 0.00 108.00 101.67 -21.00 221.00

粳稻期货跨期套利价差逐日数据

日期 主连开盘价 主连收盘价 主连最高价 主连最低价 次主连开盘价 次主连收盘价 次主连最高价 次主连最低价 开盘价差值 收盘价差值 最高价差值 最低价差值
2021-10-29 2727.00 2700.00 2727.00 2568.00 2897.00 2897.00 2897.00 2897.00 -170.00 -197.00 -170.00 -329.00
2021-05-06 2405.00 2405.00 2405.00 2405.00 2821.00 2711.00 2822.00 2710.00 -416.00 -306.00 -417.00 -305.00
2021-04-30 2656.00 2549.00 2656.00 2549.00 2840.00 2802.00 2840.00 2802.00 -184.00 -253.00 -184.00 -253.00
2021-04-15 2830.00 2824.00 2831.00 2740.00 2791.00 2898.00 2947.00 2791.00 39.00 -74.00 -116.00 -51.00
2021-04-13 2736.00 2728.00 2736.00 2728.00 2900.00 2900.00 2900.00 2900.00 -164.00 -172.00 -164.00 -172.00
2021-03-04 2850.00 2836.00 2850.00 2836.00 2884.00 2880.00 2884.00 2880.00 -34.00 -44.00 -34.00 -44.00
2021-03-03 2880.00 2879.00 2880.00 2878.00 2800.00 2880.00 2880.00 2800.00 80.00 -1.00 0.00 78.00
2021-02-26 2912.00 2827.00 2952.00 2826.00 2846.00 2846.00 2846.00 2846.00 66.00 -19.00 106.00 -20.00
2021-02-25 2949.00 2955.00 2955.00 2913.00 2885.00 2885.00 2885.00 2885.00 64.00 70.00 70.00 28.00
2021-02-04 2984.00 2904.00 2984.00 2904.00 2910.00 2890.00 2910.00 2890.00 74.00 14.00 74.00 14.00
2021-02-03 2987.00 2975.00 3002.00 2974.00 2925.00 2926.00 2926.00 2925.00 62.00 49.00 76.00 49.00
2021-02-02 2970.00 2986.00 3015.00 2956.00 2954.00 2905.00 2954.00 2905.00 16.00 81.00 61.00 51.00
2021-02-01 2926.00 3000.00 3008.00 2910.00 2840.00 2821.00 2840.00 2821.00 86.00 179.00 168.00 89.00
2021-01-29 2916.00 2987.00 2987.00 2904.00 2881.00 2881.00 2881.00 2881.00 35.00 106.00 106.00 23.00
2021-01-28 2979.00 2894.00 2979.00 2894.00 2860.00 2860.00 2860.00 2860.00 119.00 34.00 119.00 34.00
2021-01-12 2897.00 2946.00 2966.00 2897.00 2920.00 2920.00 2920.00 2920.00 -23.00 26.00 46.00 -23.00
2021-01-04 2460.00 2460.00 2460.00 2460.00 2654.00 2654.00 2654.00 2479.00 -194.00 -194.00 -194.00 -19.00
2020-10-30 3019.00 3004.00 3057.00 2987.00 2833.00 2850.00 2850.00 2833.00 186.00 154.00 207.00 154.00
2020-10-27 2940.00 2906.00 2940.00 2906.00 2803.00 2858.00 2877.00 2803.00 137.00 48.00 63.00 103.00
2020-10-26 2865.00 2949.00 2964.00 2865.00 2808.00 2808.00 2808.00 2808.00 57.00 141.00 156.00 57.00
2020-10-23 2894.00 2888.00 2923.00 2842.00 2799.00 2799.00 2799.00 2799.00 95.00 89.00 124.00 43.00
2020-10-22 2806.00 2850.00 2888.00 2773.00 2831.00 2834.00 2834.00 2831.00 -25.00 16.00 54.00 -58.00
2020-10-21 2782.00 2783.00 2783.00 2782.00 2768.00 2768.00 2768.00 2768.00 14.00 15.00 15.00 14.00
2020-10-20 2766.00 2756.00 2766.00 2756.00 2865.00 2761.00 2865.00 2716.00 -99.00 -5.00 -99.00 40.00
2020-10-13 2756.00 2788.00 2788.00 2748.00 2724.00 2724.00 2724.00 2724.00 32.00 64.00 64.00 24.00
2020-10-12 2767.00 2756.00 2778.00 2743.00 2714.00 2714.00 2714.00 2714.00 53.00 42.00 64.00 29.00
2020-10-09 2718.00 2752.00 2755.00 2718.00 2742.00 2710.00 2760.00 2710.00 -24.00 42.00 -5.00 8.00
2020-09-30 2702.00 2690.00 2702.00 2690.00 2686.00 2676.00 2689.00 2653.00 16.00 14.00 13.00 37.00
2020-09-29 2740.00 2740.00 2740.00 2740.00 2744.00 2739.00 2744.00 2711.00 -4.00 1.00 -4.00 29.00
2020-09-28 2752.00 2774.00 2774.00 2752.00 2763.00 2789.00 2790.00 2754.00 -11.00 -15.00 -16.00 -2.00
2020-09-22 2809.00 2797.00 2820.00 2774.00 2789.00 2791.00 2791.00 2744.00 20.00 6.00 29.00 30.00
2020-09-21 2784.00 2808.00 2808.00 2779.00 2768.00 2738.00 2768.00 2738.00 16.00 70.00 40.00 41.00
2020-09-18 2772.00 2774.00 2774.00 2772.00 2796.00 2760.00 2796.00 2760.00 -24.00 14.00 -22.00 12.00
2020-09-17 2767.00 2767.00 2767.00 2767.00 2756.00 2796.00 2796.00 2756.00 11.00 -29.00 -29.00 11.00
2020-09-15 2765.00 2769.00 2788.00 2765.00 2789.00 2789.00 2789.00 2789.00 -24.00 -20.00 -1.00 -24.00
2020-09-10 2764.00 2767.00 2773.00 2738.00 2734.00 2748.00 2750.00 2726.00 30.00 19.00 23.00 12.00
2020-09-08 2771.00 2777.00 2794.00 2771.00 2768.00 2768.00 2768.00 2768.00 3.00 9.00 26.00 3.00
2020-09-04 2772.00 2775.00 2782.00 2768.00 2754.00 2755.00 2755.00 2754.00 18.00 20.00 27.00 14.00
2020-09-02 2763.00 2799.00 2800.00 2763.00 2770.00 2778.00 2778.00 2770.00 -7.00 21.00 22.00 -7.00
2020-08-31 2390.00 2569.00 2570.00 2332.00 2625.00 2771.00 2797.00 2625.00 -235.00 -202.00 -227.00 -293.00
2020-08-28 2464.00 2418.00 2475.00 2418.00 2764.00 2764.00 2764.00 2764.00 -300.00 -346.00 -289.00 -346.00
2020-08-27 2472.00 2480.00 2481.00 2462.00 2771.00 2774.00 2774.00 2771.00 -299.00 -294.00 -293.00 -309.00
2020-08-26 2503.00 2475.00 2503.00 2475.00 2772.00 2779.00 2780.00 2772.00 -269.00 -304.00 -277.00 -297.00
2020-08-25 2522.00 2509.00 2522.00 2503.00 2778.00 2787.00 2790.00 2777.00 -256.00 -278.00 -268.00 -274.00
2020-08-24 2531.00 2537.00 2537.00 2503.00 2752.00 2771.00 2778.00 2752.00 -221.00 -234.00 -241.00 -249.00
2020-08-21 2517.00 2516.00 2530.00 2506.00 2790.00 2776.00 2799.00 2775.00 -273.00 -260.00 -269.00 -269.00
2020-08-20 2532.00 2523.00 2595.00 2521.00 2771.00 2785.00 2785.00 2771.00 -239.00 -262.00 -190.00 -250.00
2020-08-19 2553.00 2533.00 2553.00 2514.00 2787.00 2786.00 2787.00 2786.00 -234.00 -253.00 -234.00 -272.00
2020-08-18 2524.00 2543.00 2555.00 2524.00 2767.00 2769.00 2787.00 2767.00 -243.00 -226.00 -232.00 -243.00
2020-08-17 2525.00 2549.00 2588.00 2525.00 2765.00 2770.00 2770.00 2762.00 -240.00 -221.00 -182.00 -237.00
2020-08-14 2600.00 2550.00 2606.00 2541.00 2768.00 2771.00 2788.00 2768.00 -168.00 -221.00 -182.00 -227.00
2020-08-13 2593.00 2617.00 2627.00 2583.00 2784.00 2797.00 2848.00 2784.00 -191.00 -180.00 -221.00 -201.00
2020-08-12 2652.00 2589.00 2668.00 2589.00 2820.00 2799.00 2828.00 2780.00 -168.00 -210.00 -160.00 -191.00
2020-08-11 2674.00 2688.00 2688.00 2663.00 2788.00 2788.00 2788.00 2788.00 -114.00 -100.00 -100.00 -125.00
2020-08-10 2706.00 2694.00 2706.00 2681.00 2849.00 2840.00 2849.00 2840.00 -143.00 -146.00 -143.00 -159.00
2020-08-07 2707.00 2697.00 2709.00 2695.00 2821.00 2821.00 2821.00 2821.00 -114.00 -124.00 -112.00 -126.00
2020-08-06 2747.00 2718.00 2750.00 2707.00 2837.00 2820.00 2837.00 2820.00 -90.00 -102.00 -87.00 -113.00
2020-08-03 2713.00 2723.00 2737.00 2711.00 2832.00 2825.00 2832.00 2817.00 -119.00 -102.00 -95.00 -106.00
2020-07-28 2744.00 2736.00 2799.00 2731.00 2846.00 2852.00 2869.00 2846.00 -102.00 -116.00 -70.00 -115.00
2020-07-27 2709.00 2713.00 2720.00 2709.00 2814.00 2814.00 2814.00 2814.00 -105.00 -101.00 -94.00 -105.00
2020-07-24 2729.00 2712.00 2733.00 2711.00 2861.00 2877.00 2887.00 2861.00 -132.00 -165.00 -154.00 -150.00
2020-07-23 2708.00 2718.00 2725.00 2708.00 2853.00 2853.00 2853.00 2853.00 -145.00 -135.00 -128.00 -145.00
2020-07-22 2720.00 2716.00 2736.00 2702.00 2826.00 2858.00 2858.00 2826.00 -106.00 -142.00 -122.00 -124.00
2020-07-21 2720.00 2733.00 2740.00 2711.00 2867.00 2889.00 2889.00 2860.00 -147.00 -156.00 -149.00 -149.00
2020-07-20 2740.00 2723.00 2740.00 2723.00 2829.00 2804.00 2829.00 2804.00 -89.00 -81.00 -89.00 -81.00
2020-07-17 2728.00 2728.00 2730.00 2728.00 2809.00 2813.00 2818.00 2809.00 -81.00 -85.00 -88.00 -81.00
2020-07-14 2736.00 2743.00 2749.00 2736.00 2796.00 2804.00 2804.00 2796.00 -60.00 -61.00 -55.00 -60.00
2020-07-13 2740.00 2747.00 2750.00 2737.00 2805.00 2791.00 2805.00 2787.00 -65.00 -44.00 -55.00 -50.00
2020-07-09 2731.00 2731.00 2731.00 2731.00 2773.00 2786.00 2786.00 2773.00 -42.00 -55.00 -55.00 -42.00
2020-07-06 2758.00 2739.00 2758.00 2734.00 2800.00 2785.00 2800.00 2773.00 -42.00 -46.00 -42.00 -39.00
2020-07-03 2739.00 2739.00 2739.00 2739.00 2753.00 2767.00 2811.00 2753.00 -14.00 -28.00 -72.00 -14.00
2020-07-01 2623.00 2623.00 2623.00 2623.00 2705.00 2707.00 2715.00 2704.00 -82.00 -84.00 -92.00 -81.00
2020-06-30 2651.00 2642.00 2670.00 2599.00 2711.00 2718.00 2748.00 2711.00 -60.00 -76.00 -78.00 -112.00
2020-06-24 2769.00 2780.00 2780.00 2758.00 2793.00 2762.00 2793.00 2762.00 -24.00 18.00 -13.00 -4.00
2020-06-23 2770.00 2781.00 2784.00 2763.00 2794.00 2790.00 2830.00 2760.00 -24.00 -9.00 -46.00 3.00
2020-06-22 2775.00 2779.00 2779.00 2771.00 2775.00 2790.00 2790.00 2775.00 0.00 -11.00 -11.00 -4.00
2020-06-19 2794.00 2776.00 2794.00 2775.00 2788.00 2788.00 2788.00 2788.00 6.00 -12.00 6.00 -13.00
2020-06-18 2774.00 2777.00 2782.00 2771.00 2791.00 2793.00 2793.00 2786.00 -17.00 -16.00 -11.00 -15.00
2020-06-17 2777.00 2783.00 2785.00 2777.00 2802.00 2802.00 2802.00 2802.00 -25.00 -19.00 -17.00 -25.00
2020-06-16 2768.00 2784.00 2784.00 2768.00 2799.00 2804.00 2804.00 2799.00 -31.00 -20.00 -20.00 -31.00
2020-06-15 2787.00 2776.00 2800.00 2776.00 2799.00 2799.00 2799.00 2799.00 -12.00 -23.00 1.00 -23.00
2020-06-12 2780.00 2778.00 2784.00 2778.00 2802.00 2803.00 2845.00 2802.00 -22.00 -25.00 -61.00 -24.00
2020-06-11 2779.00 2784.00 2784.00 2776.00 2801.00 2802.00 2802.00 2801.00 -22.00 -18.00 -18.00 -25.00
2020-06-09 2777.00 2782.00 2785.00 2776.00 2802.00 2797.00 2802.00 2776.00 -25.00 -15.00 -17.00 0.00
2020-06-08 2777.00 2781.00 2781.00 2766.00 2802.00 2802.00 2808.00 2794.00 -25.00 -21.00 -27.00 -28.00
2020-06-03 2752.00 2788.00 2790.00 2751.00 2851.00 2821.00 2851.00 2810.00 -99.00 -33.00 -61.00 -59.00
2020-05-27 2791.00 2800.00 2801.00 2791.00 2808.00 2832.00 2836.00 2808.00 -17.00 -32.00 -35.00 -17.00
2020-05-26 2795.00 2797.00 2800.00 2795.00 2796.00 2796.00 2796.00 2796.00 -1.00 1.00 4.00 -1.00
2020-05-25 2786.00 2794.00 2804.00 2772.00 2826.00 2820.00 2826.00 2820.00 -40.00 -26.00 -22.00 -48.00
2020-05-22 2788.00 2794.00 2795.00 2786.00 2806.00 2811.00 2811.00 2805.00 -18.00 -17.00 -16.00 -19.00
2020-05-21 2807.00 2784.00 2807.00 2784.00 2802.00 2813.00 2816.00 2802.00 5.00 -29.00 -9.00 -18.00
2020-05-20 2792.00 2796.00 2796.00 2789.00 2800.00 2800.00 2800.00 2800.00 -8.00 -4.00 -4.00 -11.00
2020-05-18 2786.00 2794.00 2794.00 2786.00 2810.00 2810.00 2810.00 2810.00 -24.00 -16.00 -16.00 -24.00
2020-05-15 2774.00 2796.00 2798.00 2774.00 2800.00 2800.00 2800.00 2800.00 -26.00 -4.00 -2.00 -26.00
2020-05-14 2793.00 2777.00 2793.00 2771.00 2788.00 2787.00 2788.00 2787.00 5.00 -10.00 5.00 -16.00
2020-05-13 2796.00 2796.00 2796.00 2795.00 2827.00 2837.00 2837.00 2827.00 -31.00 -41.00 -41.00 -32.00
2020-05-07 2822.00 2816.00 2827.00 2799.00 2802.00 2802.00 2802.00 2802.00 20.00 14.00 25.00 -3.00
2020-05-06 2861.00 2812.00 2873.00 2803.00 2825.00 2825.00 2825.00 2825.00 36.00 -13.00 48.00 -22.00
2020-04-30 2912.00 2868.00 2912.00 2862.00 2884.00 2883.00 2884.00 2883.00 28.00 -15.00 28.00 -21.00
2020-04-28 2916.00 2915.00 2918.00 2906.00 2922.00 2921.00 2955.00 2921.00 -6.00 -6.00 -37.00 -15.00
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